Finance and Financial Management Commons^™

Desarrollo Del Capital Humano Y Su Impacto En El Desempeño De Una Institución Microfinanciera No Regulada Del Perú, Sylvia Gonzalez, Santos Guerrero, Alfredo Matos Chamorro, Edelmira Picon Ventocilla

Faculty Publications

This study analyzes the relationship between the promoters of human capital and performance of an unregulated microfinance institution (IMNR) in Peru in 2009. A cross-sectional study was conducted using the survey Human Capital Management (HCM, for its acronym in English ) by Bassi and McMurrer (2007) for the Community Banks program of the nongovernmental organization (NGO) ADRA Peru's workers. The results of a multiple linear regression analysis showed that the motivators of practices of leadership and learning ability are related to operational sustainability and productivity of credit execution. The variable “Leadership practices” consists of five factors: communication, inclusion, supervisory skills, …

International Venture Capital Firms Syndication And Performance: A Social Network Perspective, Amir Pezeshkan

Theses and Dissertations in Business Administration

Despite a growing body of research on venture capital firms, the process by which venture capital firms invest across borders remains unclear. This three-essay dissertation integrates the literature on venture capital firms, social network theory, and international alliances to examine following research questions: 1) How do network characteristics (i.e., structure and composition) of the international venture capital firms and their potential partners impact their syndication behavior? 2) What configurations of the ventures' and the international venture capital firms' attributes is associated with syndication in emerging markets? and 3) Does the host country influence the international venture capital firms' syndication behavior …

Examining The Relationship Between Selected Ratios And Market Capitalization Of An Ipo, Michael Wayne Donaldson

Walden Dissertations and Doctoral Studies

This study examined the relationship between return on equity (ROE) and return on assets (ROA), the business sector, and long-term performance of new firms 5 years after the initial public offer (IPO) date. IPOs have a high rate of delisting from stock exchanges, and understanding possible predictors of long-term performance will benefit business owners and investors. The purpose of this study was to determine if ROE and ROA are predictors of long-term performance of IPOs on U.S. stock exchanges. The research question examined whether there is a statically significant relationship between the ROE, ROA, business sector, and market capitalization of …

A Regression Model To Investigate The Performance Of Black-Scholes Using Macroeconomic Predictors, Timothy A. Smith, Ersoy Subasi, Aliraza M. Rattansi

Publications

As it is well known an option is defined as the right to buy sell a certain asset, thus, one can look at the purchase of an option as a bet on the financial instrument under consideration. Now while the evaluation of options is a completely different mathematical topic than the prediction of future stock prices, there is some relationship between the two. It is worthy to note that henceforth we will only consider options that have a given fixed expiration time T, i.e., we restrict the discussion to the so called European options. Now, for a simple illustration of …

Us Real Estate Investment Performance: 1983-2012, John F. Kerrigan

Honors Theses and Capstones

This study provides an overview of real estate investment performance over a 1983-2012 time period. The results show that although equity REITs outperformed all other assets on average annual return, on a risk-adjusted basis both private retail and apartment real estate outperformed all other assets. The study also found a recent trend in increased correlation between common stocks and REITs.

Hedge Fund Managers Who Eschew Asset Gathering, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Fund managers may eschew financial rewards for the non-pecuniary benefits from investment management. They may be highly focused on leaving a legacy of stellar returns when they retire and prefer to preserve their ability to generate those returns by staying small. Others may prefer to run small firms so as to devote more of their time and energy into investment activities as opposed to managing people. We empirically zero in on such managers by focusing on funds that have delivered superior returns but do not take advantage of their stellar performance track records to grow capital aggressively. We find that …

The Performance Of Listed Hedge Fund Firms, Lin Sun, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

We examine the impact of fund management company listing on hedge fund performance. We find that hedge funds managed by listed firms underperform those managed by unlisted firms by 1.89 per annum after adjusting for risk. Using an event study framework, we show that hedge fund performance deteriorates from 10.32 percent per year in the 36-month pre-listing window to 2.16 percent per year in the 36-month post-listing window. Over the same period, firm assets under management effectively double from US$1.54bn to US$3.04bn. There is no evidence to suggest that funds managed by listed firms are better able to manage operational …

Core Resources Of Corporate Strategy And Performance-Oriented Bank Management Practice: A Lesson For Nigeria, Andrew O. Agbada

Bullion

In the past three decades, the Nigerian banking industry has suffered from a host of vices namely miss-management, financial misappropriation, administrative recklessness, etcetera, reflecting incompetence on all levels of management and those have had dire consequences in the economy. In an attempt to re-position the industry on the path of performance, different governments in the past took various corrective steps to no avail. Thus this study seeks to explore the Core Resources of Corporate Strategy and Performance-oriented Bank Management best practice with a view to creating sustainable best practices in bank management in Nigeria. The findings from the study are …

Hedging Effectiveness Under Conditions Of Asymmetry, Jim Hanly, John Cotter

Articles

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics, for example, Value at Risk, to compare the hedging effectiveness of short and long hedgers. Comparisons are applied to a number of hedging strategies including OLS, and both symmetric and asymmetric GARCH models. We apply our analysis to a dataset consisting of S&P500 index cash and futures containing symmetric and asymmetric return distributions chosen ex-post. Our findings show that asymmetry reduces out-of-sample hedging performance and that significant differences occur in hedging performance between short and long hedgers.

Flagship Funds At Hedge Fund Families, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Motivated by the stellar performance of flagship funds such as the Renaissance Medallion fund, we ask whether hedge fund firms (e.g. Renaissance Technologies) have incentives to protect the performance of their flagship funds (e.g. Medallion). We find that the flagship fund tends to outperform other funds within the fund family. The fees and redemption terms of non-flagship funds at launch is correlated with the past performance of the flagship fund. Finally, flagship fund performance has a positive impact on net flows into the other funds within the same family.

Quantitative Hedge Fund Selection (Part 2), Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Do fund incentives, volatility exposure, and liquidity risk affect fund performance? We show that hedge funds with high performance fees and high water mark provisions tend to outperform those with low performance fees and no high water marks. Moreover, funds that short volatility and embrace liquidity risk deliver significantly higher returns relative to funds that long volatility and eschew liquidity risk. Investors with access to secure capital and managed account platforms may be positioned to take advantage of these performance differences.

Performance Of The Indian Banking Industry Over The Last Ten Years, Saumya Lohia

CMC Senior Theses

This paper analyzes the performance of Indian banks over the period of the last ten years. It uses the CAMEL Framework to determine the performance of public and private banks in India. The paper also conducts an empirical analysis to determine the share price performance of Indian banks relative to the share price performance of banks in Hong Kong, Europe and the US. This paper finds that private banks perform better than public banks overall based on the CAMEL Framework. In addition it also finds that the Indian banks share price performance is dependent on the share price performance of …

The Geography Of Hedge Funds, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

This article analyzes the relationship between the risk-adjusted performance of hedge funds and their proximity to investments using data on Asian-focused hedge funds. We find, relative to an augmented Fung and Hsieh (2004) factor model, that hedge funds with a physical presence (head or research office) in their investment region outperform other hedge funds by 3.72 percent per year. The local information advantage is pervasive across all major geographical regions, but is strongest for Emerging Market funds and funds holding illiquid securities. These results are robust to adjustments for fund fees, serial correlation, backfill bias, and incubation bias. We show …

Spirituality And Organizational Culture: Cultivating The Abcs Of An Inspiring Workplace, Stanley E. Fawcett, James C. Brau, Gary K. Rhoads, David Whitlark, Amydee M. Fawcett

Faculty Publications

Perhaps the greatest source of unique advantage is an organization’s workforce. Unfortunately, while many managers talk about the importance or their people, they often fail to cultivate a organizational spirit that leverages their people’s creativity, insight and passion. A senior executive at a Fortune 500 company commented on this reality, saying, “People are either the bridge or the barrier.” One of today’s primary leadership challenges is to overcome practices that limit workers’ involvement. The goal is to create a workplace that inspires creativity and contribution. The question becomes, “What practices cultivate a culture that can transform an organization’s workforce into …

Do Hedge Funds Deliver Alpha? A Bayesian And Bootstrap Analysis, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Using a robust bootstrap procedure, we find that top hedge fund performance cannot be explained by luck, and that hedge fund performance persists at annual horizons. Moreover, we show that Bayesian measures, which help overcome the short-sample problem inherent in hedge fund returns, lead to superior performance predictability. Relative to sorting on OLS alphas, sorting on Bayesian alphas yields a 5.5 percent per year increase in the alpha of the spread between the top and bottom hedge fund deciles. Our results are robust, and relevant to investors, as they are neither confined to small funds, nor driven by incubation bias, …

How Unilever Hpc-Na Sold Its Employees On The Balanced Scorecard, Bridget Lyons, Andra Gumbus

WCBT Faculty Publications

Unilever Home & Personal Care-North America (HPC-NA) not only takes marketing its products very seriously, but it heavily promotes its balanced scorecard to employees as well. No wonder Unilever HPC-NA successfully designed a unique strategy to communicate awareness of the BSC while encouraging its participation and use. Their experiences should prove valuable to other organizations implementing a balanced scorecard and to those just beginning to formulate a communications approach to internal stakeholders about its role, significance, and use. The Unilever HPC-NA marketing campaign provides an effective strategy that other firms may consider when marketing a balanced scorecard internally. The HPC-NA …

The Pricing And Performance Of Convertible Preferred Stock Offerings Following Issuance, Vitaly S. Guzhva

Electronic Theses and Dissertations

This dissertation is a comprehensive study of convertible-preferred-stock pricing and performance following issuance. It is the first major academic study that identifies significant abnormal performance of corporate contingent claims following issuance. The research utilizes both option-based contingent claims valuation models and econometric techniques to investigate the sources of superior investment performance of convertible securities as an asset class that has persisted for the past thirty years. Two main issues are examined: potential underpricing of convertible preferred stocks at issuance and their subsequent investment performance. Underpricing is examined based on a robust contingent-claims valuation model. Using two samples of convertible preferred …

Credit History And The Performance Of Prime And Nonprime Mortgages, Anthony Pennington-Cross

Finance Faculty Research and Publications

Although nonprime lending has experienced steady or even explosive growth over the last decade very little is known about the performance characteristics of these mortgages. Using data from national secondary market institutions, this paper estimates a competing risks proportional hazard model, which includes unobserved heterogeneity. The analysis examines the performance of 30-year fixed rate owner occupied home purchase mortgages from February 1995 to the end of 1999 and compares nonprime and prime loan default and prepayment behavior. Nonprime loans are identified by mortgage interest rates that are substantially higher than the prevailing prime rate. Results indicate that nonprime mortgages differ …

Persistence In Style-Adjusted Mutual Fund Returns, Melvyn Teo, Sung-Jun Woo

Research Collection Lee Kong Chian School Of Business

The literature on mutual fund persistence took a hit with the finding that one-year stock momentum and expense ratios account for most of the persistence in mutual fund performance (Carhart, 1992; Carhart, 1997). However, since equity mutual funds are grouped into styles (e.g., large value, small growth, mid-cap growth, etc.) and are often confined to trading stocks within their style, one should measure fund performance relative to style when investigating managerial ability. Using CRSP mutual fund data and a methodology similar to Carhart (1997), we find that differences in style-adjusted fund returns persist for up to six years. Neither one-year …

The Performance Of The 1999 Federal Government Budget, An Appraisal, Edet B. Akpankpan

Bullion

The annual budget is a key instrument for implementation of Government projects, programmes and policies. This paper attempts to explain the fact that the annual budget serves three important purposes, namely; as a tool for accountability and transparency; as a tool of management, and as an instrument of economic policy. The paper conclude that Despite the macrocosmic achievement of this, Administration, basic structural imbalances persist. These include the lingering problems of import dependence, reliance on a single economic sector-oil, weak industrial base, low level of agricultural production, a weak Private sector, high external debt overhang, inefficient public utilities, low quality …

Agenda: Western Water: Expanding Uses/Finite Supplies, University Of Colorado Boulder. Natural Resources Law Center

Western Water: Expanding Uses/Finite Supplies (Summer Conference, June 2-4)

Conference organizers and/or faculty included University of Colorado School of Law professors James N. Corbridge, Jr., Lawrence J. MacDonnell and David H. Getches.

This conference featured luncheon talks by Colorado Governor Richard D. Lamm and Undersecretary of the Department of the Interior Ann McLaughlin. The conference attracted 115 registrants from 19 states plus the District of Columbia.